July 13, 2018 / 8:45 AM / 3 months ago

ISDA lays out options for money market 'fallback' rates

LONDON, July 13 (Reuters) - The International Swaps and Derivatives Association (ISDA) has launched a market-wide consultation on new money market fallback rates for derivatives contracts that reference certain interbank rates.

In a document released late on Thursday, the global industry derivatives body laid out options for adjustments that would apply to the fallback rate in the event an interbank offered rate is permanently discontinued.

These options include a fall-back money market rate, a forwards approach, an historical mean/median approach, and spot-spread approach.

The consultation will run for three months and is open to all market participants, ISDA said.

For the full ISDA statement: here (Reporting by Dhara Ranasinghe; editing by Marc Jones)

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